Weak convergence in the functional autoregressive model

DOI10.1016/J.JMVA.2006.05.010zbMATH Open1118.60016arXivmath/0509256OpenAlexW1972835186MaRDI QIDQ997009FDOQ997009

Authors: André Mas 

Publication date: 19 July 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: The functional autoregressive model is a Markov model taylored for data of functional nature. It revealed fruitful when attempting to model samples of dependent random curves and has been widely studied along the past few years. This article aims at completing the theoretical study of the model by adressing the crucial issue of weak convergence for estimates from the model. The main difficulties stem from an underlying inverse problem as well as from dependence between the data. Traditional facts about weak convergence in non parametric models appear : the normalizing sequence is an o($sqrtn$), a bias terms appears. Several original features of the functional framework are pointed out.

Full work available at URL: https://arxiv.org/abs/math/0509256

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zbMATH Keywords

functional dataweak convergenceHilbert spaceperturbation theorylinear inverse problemautoregressive modelrandom operatormartingale difference arrays

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05)

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Cited In (27)

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